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Rethinking Valuation and Pricing Models by Greg N. Gregoriou, Christian Hoppe, Carsten Wehn

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2

Taking Collateral into Account

Messaoud Chibane, Yi-Chen Huang and Jayaprakash Selvaraj

Shinsei Bank

Chapter Outline

2.1 Introduction

With the start of the credit crunch in summer 2007 and the subsequent upheavals in market conditions, all the basic assumptions used in derivatives pricing, such as infinite liquidity and no counterparty default risk, have been called into question. Practitioners first ...

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